• Title of article

    Hedging American contingent claims with constrained portfolios under proportional transaction costs

  • Author/Authors

    Wang Bo، نويسنده , , Meng Qingxin، نويسنده ,

  • Issue Information
    دوهفته نامه با شماره پیاپی سال 2005
  • Pages
    10
  • From page
    1153
  • To page
    1162
  • Abstract
    In a general continuous-time market model with constrained portfolios under proportional transaction costs, we derive the upper and lower hedging prices of American contingent claims. Furthermore we have that [hlow(K),hup(K)] is an arbitrage-free interval.
  • Journal title
    Chaos, Solitons and Fractals
  • Serial Year
    2005
  • Journal title
    Chaos, Solitons and Fractals
  • Record number

    901176